Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/67030
Type: Artigo de periódico
Title: Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations
Author: Laurini, MP
Hotta, LK
Abstract: This article discusses the use of Bayesian methods for inference and forecasting in dynamic term structure models through integrated nested Laplace approximations (INLA). This method of analytical approximation allows accurate inferences for latent factors, parameters and forecasts in dynamic models with reduced computational cost. In the estimation of dynamic term structure models it also avoids some simplifications in the inference procedures, such as the inefficient two-step ordinary least squares (OLS) estimation. The results obtained in the estimation of the dynamic Nelson-Siegel model indicate that this method performs more accurate out-of-sample forecasts compared to the methods of two-stage estimation by OLS and also Bayesian estimation methods using Markov chain Monte Carlo (MCMC). These analytical approaches also allow efficient calculation of measures of model selection such as generalized cross-validation and marginal likelihood, which may be computationally prohibitive in MCMC estimations. Copyright (c) 2014 John Wiley & Sons, Ltd.
Subject: latent factors
term structure
Bayesian forecasting
Laplace approximations
Country: EUA
Editor: Wiley-blackwell
Rights: fechado
Identifier DOI: 10.1002/for.2288
Date Issue: 2014
Appears in Collections:Artigos e Materiais de Revistas Científicas - Unicamp

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